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  Issue 16 | Archive ¡¡ August 2013

RMI Holds its Seventh Annual Risk Management Conference

The NUS Risk Management Institute (RMI) successfully hosted its Seventh Annual Risk Management Conference, themed “Risk Management in the New Normal”, from 11 to 12 July 2013 at Shangri-La Hotel, Singapore. The one-day policy forum, followed by a one-day scientific program attracted over 300 policy makers, regulators, industry executives and academics for talks and discussions on financial risk management.

The conference addressed the challenges that financial institutions face in operating in a more restricted business environment, which include complying with changing rules, fostering the right risk culture and a volatile economic climate. Increased capital requirements under Basel III and the prohibition of proprietary trading under the Dodd-Frank Act are only some of the tightened restrictions banks are facing today in the aftermath of the global financial crisis. However, the stringency of these ex-post regulations may never be enough as the financial industry continually evolves to circumvent them.


Nobel Laureate Professor Robert F. Engle Speaks at RMI Public Lecture

On the afternoon of 11 June, RMI hosted a public lecture entitled “Monitoring Systemic Risk with V-LAB”, featuring speaker Nobel Laureate Prof. Robert F. Engle, Michael Armellino Professor of Management and Financial Services at New York University's Stern School of Business. The talk was well attended by nearly 270 participants, both from academia and industry.

In his talk, Prof. Engle shared details about the Volatility Laboratory or V-LAB, hosted by the Volatility Institute at the New York University. Calculating volatilities and correlations every day on a wide range of assets using various methods, it produces volatility forecasts up to a year in advance. He pointed out that with V-LAB, contemporary research on risk and volatility is extended to a new platform.


RMI Publishes Volume 3 of the Global Credit Review

A joint publication of RMI and World Scientific

The volume 3 of the Global Credit Review (GCR), a joint publication of RMI and World Scientific, was published in July 2013. This journal, aiming to provide an overview of the most important developments in the global credit markets and the regulatory landscape, covers theoretical and empirical research on credit ratings and credit risk, and reports on recent findings and evolutions of the RMI's Credit Research Initiative(CRI). More specifically, this annual publication touches on current topics in credit markets, provides some critical analysis and reviews of new regulations and offers new insights to address the challenges ahead. The journal can be accessed here.


New Staff

Dr. Miao Weimin joined RMI as a Research Fellow on 22 May. Born in Nanjing, Jiangsu Province, China, he completed his Ph.D. studies in applied mathematics at the National University of Singapore in May 2013. Prior to his PhD, Weimin received his M.S. (Operations Research) from the University of Chinese Academy of Sciences in 2007 and B.S. (Statistics) from Peking University in 2004. His doctoral thesis focuses on developing statistically and computationally efficient optimization methodologies for solving high-dimensional data problems, especially low-rank matrix completion. His past research also lies in optimization under uncertainty and optimization of risk measures. Currently, Weimin is interested in covariance matrix estimation and is also eager to gain more insights into credit risk management. His hobbies include weiqi, badminton and travel.

Visitors

Prof. Wu Liuren, Professor of Economics and Finance at the Baruch College City Unversity of New York visited RMI from 1 to 17 July 2013. He was co-chair of the RMI’s Seventh Annual Risk Management Conference’s Scientific Program together with Prof. Andrew Lim, and also lectured in this year’s NUS-Santander Doctorate Workshop. He holds a Master of Philosophy in international economics and finance from New York University, a doctorate from the Chinese Academy of Sciences, and master and bachelor degrees from the Beijing Institute of Technology, China. His research interests include option pricing, credit risk, term structure modelling, market microstructure, international finance, asset pricing and asset allocation. Prof. Wu has collaborated with many professionals of various backgrounds and has numerous publications in journals such as Journal of Financial Econometric, Review of Finance, Finance and Stochastic, Journal of Finance, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, and European Finance Review.



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RMI Research Seminars

3 June 2013

On 3 June, Dr. Jung-Soon Hyun, assistant professor of finance at the Korea Advanced Institute of Science and Technology gave a talk on ¡°The Pricing of Default Contagion: Evidence from the CDS Market¡± at RMI¡¯s Research Seminar.


RMI Co-organizes the 2013 SoFiE Annual Conference

12 ¨C 14 June 2013

RMI, in collaboration with the Sim Kee Boon Institute for Financial Economics at the Singapore Management University (SMU), hosted the Sixth Annual Society for Financial Econometrics (SoFiE) Conference at the SMU campus from 12 to 14 June.


The MFE class of 2013

14 July 2013

On 14 July 2013, 90 graduates were conferred the Master of Science in Financial Engineering (MFE) degree. RMI had the pleasure of hosting some of the graduates and their families at a luncheon held in the Shaw Foundation Alumni House prior to the commencement ceremony.


Call for Projects

In the "Credit Analytics Practicum", one of the newest modules in the MFE program, students need to work on real-world problems in quantitative credit analysis. Given the unique nature of this module, students that choose this will be highly motivated to develop their practical and research skills.



Financial Risk Manager (FRM®) Certification Training Program 2013 June Intake Module III & IV
17Aug - 19 Oct 2013

Call for Projects

more




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Published quarterly by Risk Management Institute, NUS
Editor: Ivy Wang (rmiwy@nus.edu.sg)